menta78/tsEva

This MATLAB toolbox contains an implementation of the Transformed-Stationary (TS) methodology for non-stationary EVA as described in Mentaschi et al. (2016). In synthesis this approach consists in (i) transforming a non-stationary time series into a stationary one to which the stationary EVA theory can be applied; and (ii) reverse-transforming the result into a non-stationary extreme value distribution. This toolbox is free of external dependencies, and contains calls for both the statistical analysis and the graphical rendering of the results.

语言：MATLAB · GitHub 星标：9 · Fork：8

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